Financial Constraints, Debt Capacity, and the Cross-section of Stock Returns

• 成果类型: Article
• 署名作者: Hahn, Jaehoon; Lee, Hangyong
• 署名单位: Yonsei University; Hanyang University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01452.x
• 发表日期: 2009
• 页码: 891-921
• 关键词: CAPITAL STRUCTURE CHOICE; business cycles; imperfect information; lending relationships; market imperfections; corporate-investment; credit conditions; external finance; monetary-policy; AGENCY COSTS

摘要

Building on a model of corporate investment under collateral constraints, we develop and test a hypothesis on the differential effect of debt capacity on stock returns across financially constrained and unconstrained firms. Consistent with the hypothesis, we find that debt capacity is a significant determinant of stock returns only in the cross-section of financially constrained firms, after controlling for beta, size, book-to-market, leverage, and momentum. The findings suggest that cross-sectional differences in corporate investment behavior arising from financial constraints, predicted by theories of imperfect capital markets and supported by empirical evidence, are reflected in the stock returns of manufacturing firms.